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So far this year, the VIX futures term structure has remained steeply upward sloping. This generates high roll costs for VXX and VXZ as they maintain their mandated weighted average exposures.

As the 1st and 2nd month (Short-Term) VIX futures and the VIX index are coming up from near all-time lows, shorting VXX is a more attractive opportunity. As a result, I’m short VXX (VIX Short-Term Futures), but will also selectively hedge the short VXX position with a long VXZ position when the term structure flattens.

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Robert Zingale

When I am not working at Google, I have a passion for investing and have been actively investing for my
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